The National Bank Act (NBA), which entered into force in 2004, defines the SNB’s responsibilities and describes in detail its mandate with regard to asset management.
The National Bank Act (NBA), which entered into force in 2004, defines the SNB’s responsibilities and describes in detail its mandate with regard to asset management.
Bank Council and Risk Committee
The Bank Council is charged with the integral oversight of the investment and risk control process. It assesses the principles of the process and monitors compliance with them. The Risk Committee – which is composed of three members of the Bank Council – supports the Bank Council in this task and monitors risk management in particular. All internal reporting carried out is addressed directly to the Governing Board and Risk Committee. To avoid conflicts of interest, the responsibilities for monetary policy and investment policy operations are largely separated on the operational level.
Governing Board
The Governing Board decides on the composition of the currency reserves and other assets. The Governing Board also defines the requirements with regard to security and liquidity of the investments as well as the eligible currencies, investment categories, instruments and debtors. It generally decides on the investment strategy once a year. The investment strategy encompasses the allocation of total assets to the different portfolios and the guidelines for their management, in particular the allocation to different currencies and investment categories, as well as the leeway for active management on an operational level.
Operational level
An internal Investment Committee determines the tactical allocation on an operational level. Within the strategically prescribed range, it adjusts the currency allocation, the duration or the amount allocated to different investment categories. In this way, it adapts allocation to suit changing market conditions. The management of the individual portfolios is the responsibility of Portfolio Management. The majority of investments are managed by internal portfolio managers. In order to facilitate access to investment categories such as US mortgage-backed securities or indexed equity portfolios, the SNB uses external asset managers. For performance comparison purposes with internal portfolio management, other mandates are outsourced.
Risk management
The investment strategy is based on quantitative specifications as to the risk tolerance and liquidity of the investments, and on comprehensive risk/return analyses. Risk management and risk limitation are carried out by means of a system using reference portfolios, guidelines and limits. All relevant financial risks for investments are continuously compiled, assessed and monitored. Risk measurement is based on standard risk indicators and procedures. While market risk is mainly assessed by means of sensitivity and Value-at-Risk (VaR) analyses, credit risk is appraised using information from major rating agencies. Risk indicators are aggregated over all investments. Compliance with the guidelines and limits is monitored on a daily basis. In a quarterly risk report, the results of risk management activities are submitted to the Governing Board and the Bank Council’s Risk Committee.
. "Swiss National Bank." . . Swiss National Bank. 1.31.08 <http://www.snb.ch/en>.
